Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0026 |
| Annualized Std Dev | 0.2386 |
| Annualized Sharpe (Rf=0%) | 0.0108 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3228.0000 |
| NAs | 1.0000 |
| Minimum | -0.1290 |
| Quartile 1 | -0.0066 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1460 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | -0.4115 |
| Kurtosis | 11.1762 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0156 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.6390 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0374 |
| Modified VaR (95%) | -0.0229 |
| Modified ES (95%) | -0.0419 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-20 | 2008-11-20 | 2010-09-24 | -0.6390 | 589 | 130 | 459 |
| 2010-11-05 | 2020-03-23 | NA | -0.4896 | 2610 | 2359 | NA |
| 2010-10-14 | 2010-10-19 | 2010-11-02 | -0.0350 | 14 | 4 | 10 |
| 2010-09-27 | 2010-09-27 | 2010-09-30 | -0.0099 | 4 | 1 | 3 |
| 2010-10-04 | 2010-10-04 | 2010-10-05 | -0.0059 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | -0.7 | -2.4 | -0.8 | -0.7 | 0.7 | 3.7 | -7.1 | 1.7 | -5.8 |
| 2009 | -2.6 | -4.6 | 3 | 0.3 | 4.3 | 1.6 | 0.2 | -1 | -2.5 | -3.1 | 2.4 | -0.1 | -2.6 |
| 2010 | 2 | 2.1 | 1.8 | -1.6 | -1.9 | 0.1 | 1 | 2.5 | 1.6 | 0.2 | 2.2 | 0.5 | 10.8 |
| 2011 | 1.3 | -0.7 | 1.6 | -0.2 | -1 | 1.1 | 0.3 | -0.4 | -4.7 | -2.1 | -1.1 | 0.3 | -5.7 |
| 2012 | 2.6 | 1.6 | 1.6 | 0 | -2.7 | 3.3 | 0.8 | 1 | 1.1 | 1.4 | -0.1 | 1.8 | 12.9 |
| 2013 | 0.9 | 0.5 | -0.5 | -0.7 | -1.6 | 1.5 | 1 | 0.6 | 1.9 | 0 | 1 | 0.4 | 5.1 |
| 2014 | 0.2 | -0.3 | 0.8 | 0.1 | -0.4 | 0.7 | 0.8 | 0.2 | -1.4 | 0.5 | -1.4 | 0.6 | 0.3 |
| 2015 | -1.9 | 0.6 | 1 | 0.7 | 0.2 | 0.4 | -0.1 | -2.2 | 0.4 | -0.1 | 0.3 | 0.1 | -0.8 |
| 2016 | -0.5 | 2.8 | 0.6 | -0.1 | 0.2 | 0.7 | -0.1 | 0.4 | 1.4 | -0.3 | -1.4 | -0.3 | 3.3 |
| 2017 | 0.5 | 1.4 | -0.2 | 0.5 | 0.6 | 1 | 0.5 | 0.8 | 0.7 | 0.1 | -1.1 | 0.8 | 5.7 |
| 2018 | -0.5 | 0.3 | 1.5 | -0.7 | 0.5 | 1.6 | -0.1 | 1 | 0.3 | 3.6 | -0.1 | 0.1 | 7.8 |
| 2019 | -0.7 | 0.4 | 1.4 | -0.6 | 0.7 | 1.1 | -1.5 | 0.2 | -1.1 | 1 | -0.9 | 0.8 | 0.7 |
| 2020 | -1.2 | -1.4 | -3 | -3 | 2.2 | 1.3 | -0.1 | 0.9 | 1.2 | -0.9 | 1.8 | -0.3 | -2.7 |
| 2021 | 1.5 | 2.1 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-05-16 53.7 SPY 143. 0.0009 0.0271 0.0409 0.0556 -0.0571 0.221 0.500 GLD 89.1 0.0241 0.0192
2 2008-05-19 54.1 SPY 143. 0.0027 0.0184 0.033 0.0556 -0.0627 0.217 0.508 GLD 89.4 0.0033 0.0276
3 2008-05-20 52.3 SPY 142. -0.0081 0.01 0.0241 0.0439 -0.0698 0.194 0.532 GLD 90.9 0.0169 0.0645
4 2008-05-21 51.9 SPY 139. -0.0169 -0.0091 0.0112 0.0349 -0.0848 0.169 0.509 GLD 92.0 0.0117 0.0793
5 2008-05-22 52.6 SPY 140. 0.0001 -0.0212 0.013 0.0287 -0.0848 0.171 0.506 GLD 91.0 -0.0107 0.0457
6 2008-05-23 52.0 SPY 138. -0.0134 -0.0352 -0.0049 0.0023 -0.0888 0.149 0.471 GLD 91.2 0.0027 0.0239
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
